funGp: An R Package for Gaussian Process Regression with Scalar and Functional Inputs
Résumé
This article introduces funGp, an R package
which handles regression problems involving multiple scalar and/or
functional inputs, and a scalar output, through the Gaussian process
model. This is particularly of interest for the design and analysis of computer experiments
with expensive-to-evaluate numerical codes that take as inputs regularly sampled time series.
Rather than imposing any particular parametric input-output
relationship in advance (e.g., linear, polynomial), Gaussian process
models extract this information directly from the data. The package
offers built-in dimension reduction, which helps to simplify the
representation of the functional inputs and obtain lighter
models. It also implements an Ant Colony based optimization
algorithm which supports the calibration of multiple structural
characteristics of the model such as the state of each input (active
or inactive) and the type of kernel function, while seeking for
greater prediction power. The implemented methods are tested and applied to a real case in the domain of marine flooding.
The funGp package is downloadable
from GitHub (https://github.com/djbetancourt-gh/funGp) and
CRAN (https://cran.r-project.org/package=funGp).
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